Managing Stochastic, Finite Capacity, Multi-Project Systems through the Cross-Entropy Methodology

Izack Cohen, Boaz Golany and Avraham Shtub ()

Annals of Operations Research, 2005, vol. 134, issue 1, 183-199

Abstract: This paper addresses the problem of loading a finite capacity, stochastic (random) and dynamic multi-project system. The system is controlled by keeping a constant number of projects concurrently in the system. A new approach, based on the Cross-Entropy (CE) method, is proposed to determine optimal loading of the system. Through numerical experiments, we demonstrate the CE method performance and show new insights into its behavior in a noisy system. Particularly, we suggest a trade-off between the convergence time, the number of iterations and the noise level. Copyright Springer Science + Business Media, Inc. 2005

Keywords: project management; stochastic processes; uncertainty modeling; simulation; finite capacity; cross-entropy (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/s10479-005-5730-1

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